Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources

Abstract

Abstract This work contributes to the theory of Hawkes processes. We introduce and study a new class of Hawkes processes that we call generalized Hawkes processes, and their special subclass – the generalized multivariate Hawkes processes (GMHPs). GMHPs are multivariate marked point processes that add an important feature to the family of the (classical) multivariate Hawkes processes: they allow for explicit modeling of simultaneous occurrence of excitation events coming from different sources, i.e., caused by different coordinates of the multivariate process.